Credit Derivatives

Techniques to Manage Credit Risk for Financial Professionals

Eric Banks, Morton Glantz, Paul Siegel - Collection Financial Education

360 pages, parution le 26/10/2006

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Résumé

Credit derivatives are the key risk-management tools for today's finance practitioner. Credit Derivatives explores the major types and uses of credit derivatives, covering everything from basic information and key terms to techniques for evaluating the probability of a default to demonstrations of their implementation for both risk hedging and speculation. Author Paul Siegel also explores product consideration and borrower characteristics, along with factors that must be taken into account when pricing a derivative, including time to maturity, credit rating of the counterparty, expected recovery value, risk-free interest rate, and more.

After reading this book, readers will be able to:

Identify product consideration and borrower characteristics
Understand expected vs. unexpected losses
Evaluate the probability of default
Determine the probability of a spread increase

L'auteur - Morton Glantz

(New York City) is the founder of Mort Glantz Associates.

Sommaire

Credit Derivative Products and Applications
- An Introduction to Credit DDerivatives
- Fundamental Credit Derivative Products
- Structured and Synthetic Credit Products
- An Overview of Credit Derivative Applications
Valuation Tools
- A Primer on Risk Modeling
- A Basic Credit Default Swap Model
- Modeling Credit Default Risk
- Portfolio Management of Default Risk
- Ancillary Credit Risk Tools and Techniques
Regulatory, Control, and Legal Issues
- Credit Drivative
- Regulatory and Control Issues

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Mc Graw Hill
Auteur(s)	Eric Banks, Morton Glantz, Paul Siegel
Collection	Financial Education
Parution	26/10/2006
Nb. de pages	360
Format	16 x 23,5
Couverture	Relié
Poids	670g
Intérieur	Noir et Blanc
EAN13	9780071453141
ISBN13	978-0-07-145314-1